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The Effects of Conventional and Unconventional Monetary Policy: Identification through the Yield Curve 传统与非常规货币政策的影响:通过收益率曲线的识别
ERN: Monetary Policy (Topic) Pub Date : 2020-01-22 DOI: 10.2139/ssrn.3527677
Tomi Kortela, Jaakko Nelimarkka
{"title":"The Effects of Conventional and Unconventional Monetary Policy: Identification through the Yield Curve","authors":"Tomi Kortela, Jaakko Nelimarkka","doi":"10.2139/ssrn.3527677","DOIUrl":"https://doi.org/10.2139/ssrn.3527677","url":null,"abstract":"Since the Great Recession, the main evolution in monetary policy has been its attempts to affect the medium and the long-term interest rates with instruments other than the policy rate. Consequently, measuring the stance of monetary policy by a single interest rate becomes problematic. This study explores the macroeconomic effects of conventional and unconventional policy measures in the euro area in a unified framework. We identify simultaneously three monetary policy shocks that influence different parts of the yield curve. These shocks reflect various aspects of actions and communications of the European Central Bank in conventional and unconventional monetary policy periods. According to the results, conventional interest rate policy, forward guidance and quantitative easing have asymmetric output and price responses.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121113584","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
Public Liquidity Demand and Central Bank Independence 公共流动性需求与央行独立性
ERN: Monetary Policy (Topic) Pub Date : 2019-11-01 DOI: 10.2139/ssrn.3518309
J. Barthélemy, Guillaume Plantin, Eric Mengus
{"title":"Public Liquidity Demand and Central Bank Independence","authors":"J. Barthélemy, Guillaume Plantin, Eric Mengus","doi":"10.2139/ssrn.3518309","DOIUrl":"https://doi.org/10.2139/ssrn.3518309","url":null,"abstract":"This paper studies how private demand for public liquidity affects the independence of a central bank vis-a-vis the fiscal authority. Whereas supplying liquidity to the private sector creates degrees of freedom for fiscal and monetary authorities vis-a-vis each other, we show that the authority that is most able to attract private liquidity demand can ultimately impose its views to the other.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122396025","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Monetary Policy, Uncertainty, and Domestic Shock Transmission to Capital Flow in Turkey 货币政策、不确定性和土耳其国内冲击对资本流动的传导
ERN: Monetary Policy (Topic) Pub Date : 2019-07-30 DOI: 10.2139/ssrn.3468244
I. Sifat
{"title":"Monetary Policy, Uncertainty, and Domestic Shock Transmission to Capital Flow in Turkey","authors":"I. Sifat","doi":"10.2139/ssrn.3468244","DOIUrl":"https://doi.org/10.2139/ssrn.3468244","url":null,"abstract":"This paper reports findings on multiple important phenomena in capital flow literature: internal and external shock transmission to foreign direct investment and foreign portfolio investment. Operating on Turkey as a case study, I disaggregate quarterly gross capital inflows (FDI and FPI) and examine their time-varying responses to shocks in advanced economies' monetary policy and uncertainty surrounding it, Central Bank of Turkey's monetary policy, and several key domestic macroeconomic determinants. To this end, I employ a recently developed Structural Vector Autoregression technique that uses a data-driven non-Gaussian approach and find that FPI inflows are considerably more sensitive to permanent unexpected monetary policy shocks originating both at home and abroad. Complementary results from uncertainty metrics indicate-to varying extents-that Turkey is a beneficiary of capital flow amidst heightened policy tension in the US. I also visit the push-vs.-pull debate in capital flow literature via Forecast Error Variance Decomposition and discover that Turkey falls decisively in the pull category. The Turkey-specific indicators most crucial in attracting foreign capital are the performance of the currency and CBRT's policy positioning. Lastly, using signal-processing techniques in the time-frequency domain, I report that higher FPI inflows have generally led FDI inflows in times of global economic turbulence, but that phenomenon is undergoing a reversal in the recent past.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114960336","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Entrepreneurial Finance, Home Equity, and Monetary Policy 创业融资、房屋净值与货币政策
ERN: Monetary Policy (Topic) Pub Date : 2019-04-01 DOI: 10.2139/ssrn.3372407
P. Jackson, Florian Madison
{"title":"Entrepreneurial Finance, Home Equity, and Monetary Policy","authors":"P. Jackson, Florian Madison","doi":"10.2139/ssrn.3372407","DOIUrl":"https://doi.org/10.2139/ssrn.3372407","url":null,"abstract":"We model entrepreneurial finance using a combination of fiat money, traditional bank loans, and home equity loans. The banking sector is over-the- counter, where bargaining determines the pass-through from the nominal interest rate to the bank lending rate, characterizing the transmission channel of monetary policy. The results show that the strength of this channel depends on the combination of nominal and real assets used to finance investments, and thus declines in the extent to which housing is accepted as collateral. A calibration to the U.S. economy supports the theoretical results and provides novel insights on entrepreneurial finance between 2000 and 2016.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124824298","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Monetary Policy, Housing, and Collateral Constraints 货币政策、住房和抵押品约束
ERN: Monetary Policy (Topic) Pub Date : 2019-01-29 DOI: 10.2139/ssrn.3075341
Thorsten Franz
{"title":"Monetary Policy, Housing, and Collateral Constraints","authors":"Thorsten Franz","doi":"10.2139/ssrn.3075341","DOIUrl":"https://doi.org/10.2139/ssrn.3075341","url":null,"abstract":"House-purchasing decisions and the possibility of existing homeowners to tap into their housing equity depend decisively on prevailing loan-to-value (LTV) ratios in mortgage markets with borrowing constrained households. Utilizing a smooth transition local projection (STLP) approach, I show that monetary policy shocks in the U.S. evoke stronger reactions in the housing sector in times of high LTV ratios, which, through changes in mortgage lending and mortgage equity withdrawals (MEWs), translate into larger effects of consumption. This result is more pronounced for contractionary shocks, in line with occasionally binding constraints. The strong procyclicality of LTV ratios reconciles these findings with past evidence on a less powerful transmission of monetary policy during recessions.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128484287","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
The Credit Cycle and Measurement of the Natural Rate of Interest 信贷周期与自然利率的测量
ERN: Monetary Policy (Topic) Pub Date : 2018-11-12 DOI: 10.2139/ssrn.3283178
A. Ponomarenko
{"title":"The Credit Cycle and Measurement of the Natural Rate of Interest","authors":"A. Ponomarenko","doi":"10.2139/ssrn.3283178","DOIUrl":"https://doi.org/10.2139/ssrn.3283178","url":null,"abstract":"We set up an agent-based model that generates realistic credit cycles. Using artificial data sets, we show that fluctuations in the implicit measures of the natural rate of interest (obtained using a conventional model) may occur in the vicinity of credit cycle peaks without any underlying changes in fundamentals. The empirical analysis confirms that the measures of the natural interest rate tend to increase prior to a credit cycle peak and decrease afterwards. We conclude that the currently observed decline in the estimated natural rates of interest does not necessarily indicate changes in macroeconomic fundamentals. Instead, it may simply reflect the innate properties of the measurement technique in the vicinity of credit cycle peaks.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"93 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129052418","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Credit Cycles and Monetary Policy in a Model with Regime Switches 制度转换模型中的信贷周期和货币政策
ERN: Monetary Policy (Topic) Pub Date : 2018-11-01 DOI: 10.2139/ssrn.3288763
T. Faulwasser, M. Gross, W. Semmler
{"title":"Credit Cycles and Monetary Policy in a Model with Regime Switches","authors":"T. Faulwasser, M. Gross, W. Semmler","doi":"10.2139/ssrn.3288763","DOIUrl":"https://doi.org/10.2139/ssrn.3288763","url":null,"abstract":"The control of credit cycles has become a major issue for monetary policy authorities. We include in an inflation targeting model of the type developed by Svensson (1997) a nonlinear Phillips curve – allowing for a state-dependent relation of the inflation rate and the output gap – and add nonlinear dynamics for credit flows and loan interest rate spreads. As to the latter, we follow up the Minsky hypothesis that “booms sow the seeds of the next crisis”, in the sense that in credit expansions risk premia and credit spreads are low and in contractions they are high. We solve the finite horizon monetary policy model for assessing the dynamic effects of price-oriented as well as credit volume-oriented monetary policy variants. We estimate our nonlinear simultaneous equation system based on data for the euro area, to thereby inform the model parameters and explore the (de-)stabilizing effects of price (credit cost) and non-price (credit volume) drivers of the output gap, inflation and credit flows. Yet, the endogenous over- and undershooting of credit flows can significantly be impacted by quantitative easing (QE) policies. On the basis of a proposed small-scale nonlinear quadratic (NLQ) model with two regime switches – similar to more complex large-scale models – we can assess the effects of conventional and unconventional monetary policy for various economic scenarios with endogenous credit flows, risk build up and credit spread movements.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129720898","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
On Modeling Monetary Policy Implementation 货币政策执行模型研究
ERN: Monetary Policy (Topic) Pub Date : 2018-09-16 DOI: 10.2139/ssrn.3250143
Tiantian Dai, Chao He
{"title":"On Modeling Monetary Policy Implementation","authors":"Tiantian Dai, Chao He","doi":"10.2139/ssrn.3250143","DOIUrl":"https://doi.org/10.2139/ssrn.3250143","url":null,"abstract":"This paper studies three types of monetary policy interventions: open market operations (OMO), standing facilities (SF), and lump-sum transfers (LST). Without financial frictions, only money growth rate – and not the specific monetary interventions – matters. Both SF and OMO can be used in two different ways. With SF, for example, the central bank can either lend more tomorrow than today or keep borrowing and use the interest payment to expand the money supply. The Friedman rule can be implemented by the first way but not the second way.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"87 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114441173","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Monetary Policy Across Space and Time 跨越时空的货币政策
ERN: Monetary Policy (Topic) Pub Date : 2018-08-13 DOI: 10.21144/WP18-14
L. Liu, C. Matthes, K. Petrova
{"title":"Monetary Policy Across Space and Time","authors":"L. Liu, C. Matthes, K. Petrova","doi":"10.21144/WP18-14","DOIUrl":"https://doi.org/10.21144/WP18-14","url":null,"abstract":"Many major macroeconomic events have occurred across multiple countries. This Economic Brief looks at similarities and differences among the euro area, the United Kingdom, and the United States and finds that macroeconomic variables tend to become more interconnected during periods of financial distress. Movements in monetary policy are highly correlated across all three regions. In addition, inflation and unemployment become less responsive to monetary policy shocks over time.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123986046","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
Banks, Money, and the Zero Lower Bound on Deposit Rates 银行、货币和存款利率零利率下限
ERN: Monetary Policy (Topic) Pub Date : 2018-08-02 DOI: 10.2139/ssrn.3677891
Michael Kumhof, Xuan Wang
{"title":"Banks, Money, and the Zero Lower Bound on Deposit Rates","authors":"Michael Kumhof, Xuan Wang","doi":"10.2139/ssrn.3677891","DOIUrl":"https://doi.org/10.2139/ssrn.3677891","url":null,"abstract":"We study a New Keynesian model where banks create deposits through loans, subject to increasing marginal cost of lending. Banks do not intermediate commodity deposits between savers and borrowers, instead they offer a payment system that intermediates ledger-entry deposits between spenders and spenders. We discuss three implications. First, non-banks’ aggregate purchasing power consists not only of their income but also of new loans/deposits. Second, near the ZLB policy rate reductions compress spreads, and thereby reduce bank profitability, deposit creation and output. Third, near the ZLB Phillips curves are flatter because lower factor cost inflation is partly offset by inflationary credit rationing.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132877658","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 23
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